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News: SEF, Oct 2, What happened to EUR IRSwap trading?

09 October 2013 | Jon Skinner

Following on from my article SEF, Oct 2, What does the SDR Data show? I wanted to take a further look at what else we can observe in SDRView using the DTCC real-time price dissemination feed source.

Whats happened to IR Swaps in EUR, GBP & JPY?

Daily Volumes in these three major currencies seem to have dropped significantly around the Oct 2 date. So looking at the History view in SDRView Researcher, we see the following:

Eur IRS Sep-Oct

This charts shows daily trade counts of Cleared EUR IRS from 2-Sep to 7-Oct.

We can observe the following:

  • Trade counts dropped significantly on Sep 26, four days prior to Oct 2 and have remained lower than the Sep daily average.
  • This effect can also be seen in GBP and JPY (see for yourself by using SDRView Researcher).
  • Now this could be down to a quiet market in these currencies
  • Or it could be down to US firms doing less EUR, GBP, JPY trades
  • Either because SEFs are/were not fully ready for these currencies
  • Or because non-US firms are not yet on board with SEFs, so the counterparts to these trades are not there
  • All of which means that either these trades are not happening
  • Or possibly they are being booked in Europe or Japan
  • Either way not a desirable consequence of the Oct 2 deadline.

Lets follow the data and see when and whether EUR, GBP, JPY volumes return to their norms.

You may wait for my next blog article or you can follow the data yourself in SDRView.

In the meantime please add comments if you can think of other reasons for the change.


Comments

Amir,For clarity does the DTCC SDR only show CFTC jurisdiction trades?Presuming so - of your two possible explanations - the one about moving trades offshore seems much more plausible. In other words, at least a temporary net shift of the swap market to Europe as I postulated before.Jon

Correct it only has CFTC jurisdiction trades.Agreed on the trades offshore explanation.